An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet

DOI10.1080/07362990600870082zbMath1108.60045OpenAlexW2071417397MaRDI QIDQ3423722

Yoon Tae Kim

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600870082

zbMATH Keywords

Donsker's delta functionwhite noise theory

Mathematics Subject Classification ID

White noise theory (60H40) Stochastic integrals (60H05)

Related Items (4)

Various types of stochastic integrals with respect to fractional Brownian sheet and their applications ⋮ Differentiation formula in Stratonovich version for fractional Brownian sheet ⋮ A note on Itō formula for fractional Brownian sheet with Hurst parameters \(H_1,H_2\in(0,1)\) ⋮ A note on the differentiation formula in Stratonovich type for fractional Brownian sheet

Cites Work

• Unnamed Item
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Heat equations with fractional white noise potentials

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